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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.7965	4.30***
αARCH	0.0911	5.11***
βGARCH	0.8577	40.80***

γ₁	-0.3933	-2.26**
γ₂	0.5177	2.07**
γ₃	-0.0235	-0.18
γ₄	-0.2301	-2.10**
γ₅	0.1858	1.86*
γ₆	0.1368	1.34
γ₇	-0.5179	-4.55***
γ₈	0.4588	5.39***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7965	4.30***
α ARCH Response to squared shocks	0.0911	5.11***
β GARCH Volatility persistence	0.8577	40.80***

γ₁	-0.3933	-2.26**
γ₂	0.5177	2.07**
γ₃	-0.0235	-0.18
γ₄	-0.2301	-2.10**
γ₅	0.1858	1.86*
γ₆	0.1368	1.34
γ₇	-0.5179	-4.55***
γ₈	0.4588	5.39***

V-Lab

State Street SPDR Portfolio Aggregate Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR Portfolio Aggregate Bond ETF Analyses